public void BBO()
{
Broker broker = new Broker();
const string s = "TST";
const decimal p1 = 10m;
const decimal p2 = 11m;
const int x = 100;
Order bid, offer;
// send bid, make sure it's BBO (since it's only order on any book)
broker.SendOrderStatus(new BuyLimit(s, x, p1));
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.That(bid.isValid && (bid.price == p1) && (bid.size == x), bid.ToString());
Assert.That(!offer.isValid, offer.ToString());
// add better bid, make sure it's BBO
Order o;
// Order#1... 100 shares buy at $11
o = new BuyLimit(s, x, p2, 1);
broker.SendOrderStatus(o);
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.IsTrue(bid.isValid);
Assert.AreEqual(p2, bid.price);
Assert.AreEqual(x, bid.size);
Assert.That(!offer.isValid, offer.ToString());
// add another bid at same price on another account, make sure it's additive
//order #2... 100 shares buy at $11
o = new BuyLimit(s, x, p2, 2);
o.Account = "ANOTHER_ACCOUNT";
broker.SendOrderStatus(o);
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.IsTrue(bid.isValid);
Assert.AreEqual(p2, bid.price);
Assert.AreEqual(x * 2, bid.size);
Assert.That(!offer.isValid, offer.ToString());
// cancel order and make sure bbo returns
broker.CancelOrder(1);
broker.CancelOrder(2);
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.IsTrue(bid.isValid);
Assert.AreEqual(p1, bid.price);
Assert.AreEqual(x, bid.size);
Assert.IsTrue(!offer.isValid, offer.ToString());
// other test ideas
// replicate above tests for sell-side
}
public void BBO()
{
Broker broker = new Broker();
const string s = "TST";
const decimal p1 = 10m;
const decimal p2 = 11m;
const int x = 100;
Order bid, offer;
// send bid, make sure it's BBO (since it's only order on any book)
broker.sendOrder(new BuyLimit(s, x, p1));
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.That(bid.isValid && (bid.price == p1) && (bid.size == x), bid.ToString());
Assert.That(!offer.isValid, offer.ToString());
// add better bid, make sure it's BBO
uint id1 = broker.sendOrder(new BuyLimit(s, x, p2));
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.That(bid.isValid && (bid.price == p2) && (bid.size == x), bid.ToString());
Assert.That(!offer.isValid, offer.ToString());
// add another bid at same price on another account, make sure it's additive
uint id2 = broker.sendOrder(new BuyLimit(s, x, p2), new Account("ANOTHER_ACCOUNT"));
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.That(bid.isValid && (bid.price == p2) && (bid.size == (2 * x)), bid.ToString());
Assert.That(!offer.isValid, offer.ToString());
// cancel order and make sure bbo returns
broker.CancelOrder(id1);
broker.CancelOrder(id2);
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.That(bid.isValid && (bid.price == p1) && (bid.size == x), bid.ToString());
Assert.That(!offer.isValid, offer.ToString());
// other test ideas
// replicate above tests for sell-side
}
void h_GotTick(Tick t)
{
// execute pending orders
SimBroker.Execute(t);
// only process requested depth
if (t.depth > tickdepth)
{
return;
}
if (tickdepth == 0)
{
lasttime = t.time;
lastdate = t.date;
if (t.isTrade)
{
decimal price = 0;
if (last.TryGetValue(t.symbol, out price))
{
last[t.symbol] = t.trade;
}
else
{
last.Add(t.symbol, t.trade);
}
if (highs.TryGetValue(t.symbol, out price))
{
if (t.trade > price)
{
highs[t.symbol] = t.trade;
}
}
else
{
highs.Add(t.symbol, t.trade);
}
if (lows.TryGetValue(t.symbol, out price))
{
if (t.trade < price)
{
lows[t.symbol] = t.trade;
}
}
else
{
lows.Add(t.symbol, t.trade);
}
tl.newTick(t); // notify of the trade
}
else
{ // it's a quote so we need to update the book
// first though get the BBO from hist book to detect improvements
Order oldbid = SimBroker.BestBid(t.symbol);
Order oldask = SimBroker.BestOffer(t.symbol);
// then update the historical book
PlaceHistoricalOrder(t);
// fetch the new book
Order newbid = SimBroker.BestBid(t.symbol);
Order newask = SimBroker.BestOffer(t.symbol);
// reset accounts so equality comparisons work properly in next step
oldbid.Account = "";
oldask.Account = "";
newbid.Account = "";
newask.Account = "";
// if there are changes, notify clients
if (oldbid != newbid)
{
tl.newTick(OrderToTick(newbid));
}
if (oldask != newask)
{
tl.newTick(OrderToTick(newask));
}
}
}
else
{
tl.newTick(t);
}
}